Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0284
Annualized Std Dev 0.2503
Annualized Sharpe (Rf=0%) 0.1133

Row

Daily Return Statistics

Close
Observations 4296.0000
NAs 1.0000
Minimum -0.2063
Quartile 1 -0.0056
Median 0.0008
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0065
Maximum 0.2408
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0158
Skewness -0.0112
Kurtosis 36.0080

Downside Risk

Close
Semi Deviation 0.0115
Gain Deviation 0.0120
Loss Deviation 0.0137
Downside Deviation (MAR=210%) 0.0157
Downside Deviation (Rf=0%) 0.0114
Downside Deviation (0%) 0.0114
Maximum Drawdown 0.7197
Historical VaR (95%) -0.0204
Historical ES (95%) -0.0376
Modified VaR (95%) -0.0143
Modified ES (95%) -0.0143
From Trough To Depth Length To Trough Recovery
2007-05-22 2009-03-09 2011-12-23 -0.7197 1160 453 707
2020-02-13 2020-03-23 NA -0.4858 278 27 NA
2015-02-04 2016-01-20 2017-02-09 -0.2882 509 242 267
2017-06-19 2018-12-24 2019-07-18 -0.2559 524 383 141
2004-03-18 2004-07-27 2005-06-10 -0.2144 311 90 221

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA 0.1 0 -0.6 0.1 2 0.4 2.6 1 2.6 -0.9 1.3 9
2005 0.6 0.5 0.3 0.8 0.5 1.6 1 1.2 0.1 -0.8 1.6 -0.2 7.4
2006 0.3 0.3 0.2 -0.3 1.1 0.4 1.1 -0.1 -0.7 1.1 1 -0.5 4.1
2007 2.8 -0.7 0.8 0.7 -0.3 -0.3 0.9 0.6 0.7 -0.5 0.6 -0.1 5.4
2008 0.3 -1.6 3.6 2 0.4 -0.6 -1 -0.5 2.3 0.6 -4.3 0.9 1.8
2009 -2.3 -2.5 4.8 1.1 4 -0.2 1.6 -0.2 0.5 -0.8 2.6 0.1 8.9
2010 10.1 -0.8 -0.2 -0.2 -2.5 -1.2 2 1.5 1.4 -1 1.4 -0.9 9.3
2011 0.3 0.5 0.2 -0.7 -0.9 0.1 -0.6 1.2 -0.9 0.7 -0.7 0 -0.9
2012 0.9 0.6 0.6 -0.3 -0.2 1 0.2 -0.1 0 0.2 1.2 0 4.2
2013 0.3 0.2 0.4 -1.3 -2 -0.1 0.5 0.1 0.8 -0.3 -0.4 0.2 -1.8
2014 0.9 -0.1 0.2 0.6 -0.3 0.1 -1.1 0.5 0.7 0.8 -1 0.6 2
2015 -0.8 0 0 0.6 0.4 1.1 0.9 -1.2 -0.1 0.3 0.5 -0.7 1
2016 1 0.4 -0.5 0.1 0.2 -0.2 -0.4 0.3 -0.1 -0.6 -1.2 -0.9 -2.1
2017 -0.3 0.9 -0.1 -0.7 -0.7 0.6 0.3 0.4 0.6 -0.1 0.3 0.1 1.2
2018 -0.7 -0.6 1.3 0.4 -0.1 0 0.3 -0.7 1.1 0.6 1 0.6 3.3
2019 0 0.1 0.1 -0.2 -0.1 0.1 0.7 0.5 -0.4 0.4 0.1 -0.6 0.4
2020 -1.5 -4.9 -11.8 -1.8 2.5 1.4 0 -0.1 0.4 -1.1 -0.1 -0.1 -16.6
2021 0.2 2.7 -0.5 NA NA NA NA NA NA NA NA NA 2.4

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart